On the Developer Tutorials website, Michael Ross has written up a guide to step you through the installation of PHP on a Windows machine (on basically any flavor of Windows too).

Your PC can be turned into a fully capable Web development environment, by installing those three technologies, and configuring them so they communicate with one another. Admittedly, you can simply install and use PHP for its command-line processing. But for creating and testing dynamically generated Web pages on your local machine, then Apache needs to be already installed and working.

If you're wanting to set that part up before you get started and aren't sure how, check out the other tutorial to get started. He works through the process with you, including screenshots of the installer and how to toss MySQL in to the mix.